correlation-weighted-historical-simulation

  1. Nicole Seaman

    P2.T5.22.4. Semi-parametric historical simulation value at risk (HS VaR)

    Learning objectives: Compare and contrast the age-weighted, the volatility-weighted, the correlation-weighted, and the filtered historical simulation approaches. Identify advantages and disadvantages of non-parametric estimation methods. Questions: 22.4.1. Sally sorted her portfolio's daily...
    • Nicole Seaman
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    • age-weighted-historical-simulation correlation-weighted-historical-simulation filtered-historical-simulation non-parametric-density-estimation volatility-weighted-historical-simulation
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    • Forum: FRM® Practice Questions
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